全球信贷周期与中国跨境资本流动  

Global Credit Cycle and China’s Cross-Border Capital Flows

作　　者：何知仁 吴君[2] He Zhiren;Wu Jun

机构地区：[1]上海交通大学安泰经济与管理学院 [2]上海商学院金融系

出　　处：《世界经济研究》2022年第9期78-93,M0003,M0004,共18页World Economy Studies

基　　金：国家社会科学基金重大项目“稳慎推进人民币国际化研究”(项目编号:21ZDA094);上海交通大学现代金融研究基金项目“国际金融资本流动及风险预警”共同资助完成。

摘　　要：文章利用全球跨境信贷的量价变化关系识别了全球信贷周期,讨论了全球信贷周期对中国的溢出效应及中国的应对。实证结果表明,即便存在资本管制,中国跨境资本流动依然受到全球信贷周期的显著影响,但不同类型资本流动所受影响的方向存在差异,折射出全球信贷周期具有多种不同的溢出作用机制。概括而言,全球信贷周期可能通过金融渠道影响中国证券投资,通过金融和国际贸易两种渠道影响中国其他投资,对中国直接投资没有显著影响。此外,没有证据表明人民币汇率波动上升能够削弱全球信贷周期的溢出效应;相反,汇率波动可能加剧中国双向跨境资本流动,并在总体上导致净流出。据此,文章主张稳慎推进人民币汇率形成机制的市场化改革。This paper identifies the global credit cycle by the relationship between the volume and price of global cross-border credit,and studies the spillover effect of the global credit cycle on China and China’s policy choice. The empirical results show that even with capital controls,China’s cross-border capital flows are significantly affected by the global credit cycle,but different types of capital flows are affected in different directions,reflecting that the global credit cycle has various spillover mechanisms. In general,the global credit cycle affects China’ s security investment through financial channels;affects other investment through both financial and trade channels;and has no significant impact on direct investment. In addition,there is no evidence that rising RMB exchange rate volatility can weaken the spillover effects of the global credit cycle. On the contrary,exchange rate volatility may exacerbate China’ s capital inflows and outflows and lead to net outflows in general. Accordingly,this paper argues that market-oriented reform of the RMB exchange rate should be promoted in a steady and prudent way.

关 键 词：跨境资本流动 全球信贷周期 溢出效应 浮动汇率 全球金融周期 

分 类 号：F832.6[经济管理—金融学] F831.2